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Empirical Finance

Author

Listed:
  • Shigeyuki Hamori

    (Graduate School of Economics, Kobe University, 2-1, Rokkodai, Kobe 657-8501, Japan)

Abstract

The research field related to finance has made great progress in recent years due to the development of information processing technology and the availability of large-scale data. This special issue is a collection of 16 articles on empirical finance and one book review. The content is six articles on machine learning, five articles based on traditional econometric analysis, and five articles on emerging markets. The large share of articles on the application of machine learning is in line with recent trends in finance research. This special issue provides a state-of-the-art overview of empirical finance from economic, financial, and technical points of view.

Suggested Citation

  • Shigeyuki Hamori, 2020. "Empirical Finance," JRFM, MDPI, vol. 13(1), pages 1-3, January.
    • Handle: RePEc:gam:jjrfmx:v:13:y:2020:i:1:p:6-:d:304449
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    References listed on IDEAS

    as
    1. Su-Lien Lu & Ying-Hui Li, 2019. "Effect of Corporate Governance on Institutional Investors’ Preferences: An Empirical Investigation in Taiwan," JRFM, MDPI, vol. 12(1), pages 1-21, February.
    2. Eiji Ogawa & Makoto Muto, 2019. "What Determines Utility of International Currencies?," JRFM, MDPI, vol. 12(1), pages 1-31, January.
    3. Shigeyuki Hamori & Minami Kawai & Takahiro Kume & Yuji Murakami & Chikara Watanabe, 2018. "Ensemble Learning or Deep Learning? Application to Default Risk Analysis," JRFM, MDPI, vol. 11(1), pages 1-14, March.
    4. Guizhou Liu & Xiao-Jing Cai & Shigeyuki Hamori, 2018. "Modeling the Dependence Structure of Share Prices among Three Chinese City Banks," JRFM, MDPI, vol. 11(4), pages 1-18, September.
    5. Dimitrios Vezeris & Themistoklis Kyrgos & Christos Schinas, 2018. "Take Profit and Stop Loss Trading Strategies Comparison in Combination with an MACD Trading System," JRFM, MDPI, vol. 11(3), pages 1-23, September.
    6. Brian F. Tivnan & David Slater & James R. Thompson & Tobin A. Bergen-Hill & Carl D. Burke & Shaun M. Brady & Matthew T. K. Koehler & Matthew T. McMahon & Brendan F. Tivnan & Jason G. Veneman, 2018. "Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets," JRFM, MDPI, vol. 11(4), pages 1-17, October.
    7. Aneta Ptak-Chmielewska, 2019. "Predicting Micro-Enterprise Failures Using Data Mining Techniques," JRFM, MDPI, vol. 12(1), pages 1-17, February.
    8. Lei Xu & Takuji Kinkyo & Shigeyuki Hamori, 2018. "Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform," JRFM, MDPI, vol. 11(4), pages 1-11, December.
    9. Tadahiro Nakajima, 2019. "Expectations for Statistical Arbitrage in Energy Futures Markets," JRFM, MDPI, vol. 12(1), pages 1-12, January.
    10. Brian F. Tivnan & David Slater & James R. Thompson & Tobin A. Bergen-Hill & Carl D. Burke & Shaun M. Brady & Matthew T. K. Koehler & Matthew T. McMahon & Brendan F. Tivnan & Jason Veneman, 2018. "Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets," Papers 1810.11091, arXiv.org.
    11. Zhouhao Wang & Enda Liu & Hiroki Sakaji & Tomoki Ito & Kiyoshi Izumi & Kota Tsubouchi & Tatsuo Yamashita, 2018. "Estimation of Cross-Lingual News Similarities Using Text-Mining Methods," JRFM, MDPI, vol. 11(1), pages 1-13, January.
    12. Joanna Lizińska & Leszek Czapiewski, 2019. "Is Window-Dressing around Going Public Beneficial? Evidence from Poland," JRFM, MDPI, vol. 12(1), pages 1-16, January.
    13. Xie He & Xiao-Jing Cai & Shigeyuki Hamori, 2018. "Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility," JRFM, MDPI, vol. 11(4), pages 1-16, December.
    14. Takashi Miyazaki, 2019. "Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions," JRFM, MDPI, vol. 12(1), pages 1-18, February.
    15. Haifeng Xu, 2018. "Book Review for “Credit Default Swap Markets in the Global Economy” by Go Tamakoshi and Shigeyuki Hamori. Routledge: Oxford, UK, 2018; ISBN: 9781138244726," JRFM, MDPI, vol. 11(4), pages 1-2, October.
    16. Yuki Toyoshima, 2018. "Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-10, April.
    17. Zhaojie Luo & Xiaojing Cai & Katsuyuki Tanaka & Tetsuya Takiguchi & Takuji Kinkyo & Shigeyuki Hamori, 2019. "Can We Forecast Daily Oil Futures Prices? Experimental Evidence from Convolutional Neural Networks," JRFM, MDPI, vol. 12(1), pages 1-13, January.
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    Citations

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    Cited by:

    1. Chen, Guifu & Hamori, Shigeyuki, 2009. "Energy prices and China’s international competitiveness," MPRA Paper 18827, University Library of Munich, Germany.
    2. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2016. "The Chinese Stock Market Does not React to the Japanese Market: Using Intraday Data to Analyse Return and Volatility Spillover Effects," The Japanese Economic Review, Japanese Economic Association, vol. 67(3), pages 280-294, September.
    3. Yutaka Kurihara, 2016. "Deterministic Elements of Japanese Stock Prices under Low Interest Rates," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 4(2), pages 24-30, April.
    4. Yuki Toyoshima & Shigeyuki Hamori, 2012. "Volatility transmission of swap spreads among the US, Japan and the UK: a cross-correlation function approach," Applied Financial Economics, Taylor & Francis Journals, vol. 22(11), pages 849-862, June.
    5. Yuki Toyoshima, 2018. "Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-10, April.
    6. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2012. "Return and Volatility Spillovers between Japanese and Chinese Stock Markets FAn Analysis of Overlapping Trading Hours with High-frequency Data," Discussion Papers in Economics and Business 12-01, Osaka University, Graduate School of Economics.
    7. Javed Pervaiz & Teng Jian-Zhou & Junaid Masih, 2018. "Long Run Relationship between Selected Macroeconomic Indicators and Banking Sector in Pakistan," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(2), pages 67-81, February.

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